(a) Field of the Invention
The present invention is related to an investment allocation system for managing investment return and risk and method thereof. Particularly, the present invention provides a robustness index to evaluate the stability of growth of potential investments.
(b) Description of the Prior Art
Nowadays, people are making a variety of investment, so there are all kinds of products and services available on the market about analyzing investment combination for expected profit returns and reduced risks, such as Monte Carlo simulation and value-at-risk (VaR) model.
Admittedly, those approaches have their advantages. For example, Monte Carlo simulation can calculate non-normal distribution accurately by random sampling and VaR model can mark the boundary between normal days and extreme events. However, they do have drawbacks. For instance, Monte Carlo simulation consumes lots of time and cost, and VaR model is undesired to deal with tails of probability distribution.
Furthermore, the criterion of a financial asset performance varies from time to time, and return of investment (ROI) is not the only criterion considered anymore. That is, performance of a financial asset having the same return of investment (ROI) in a bull market is not consistent with that in a bear market. Moreover, there is lack of useful tool on the market for investors to allocate market exposure.
The present invention provides an effective system and method to help investors analyze a financial asset by quantitative method, e.g., stability of growth, extent of fluctuations, or extent of adaptability.